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A short course of lectures

Remedial measuresDetection of autocorrelationHeteroskedasticity-robust standard errorsThe population regression modelIdentificationConsequencesEstimation of population parametersQualitative variables with several categoriesMeasuring the degree of multicollinearityRemedial measuresMeasures of central tendencyTesting the regression equationInclusion of an irrelevant variableTwo Stage Least Squares (2SLS)Measurement errorsThe cumulative probability function - the discrete caseThe simple regression modelEstimation of partial regression coefficientsThe F-distributionThe method of ordinary least squaresConfidence intervalGLS when AR(1)Definition and the nature of autocorrelationDetecting heteroskedasticityPiecewise linear regressionThe joint hypothesis testSlope dummy variablesHypothesis testingChoosing the functional formIntercept dummy variablesP-value in hypothesis testingBasics of probability and statisticsDummy variablesThe structural and reduced form equationStatistical testsMeasures of dispersionPartial marginal effectsProperties of the least squares estimatorCharacteristics of probability distributionsThe Durbins h test statisticRandom variables and probability distributionsThe assumptions of the simple regression modelThe cumulative probability function - the continuous caseThe log-log specificationThe analysis of variance table (ANOVA)Estimation methodsThe Chi-square distributionThe linear specificationThe linear-log specificationRemedial measuresConsequences of using OLSBasic probability distributions in econometricsThe coefficient of determination (R2)Indirect Least Squares (ILS)The rank condition of identificationMulticollinearity and diagnosticsMeasures of linear relationshipType I and type II errorsThe order condition of identificationThe econometric modelThe probability function - the continuous caseThe best linear predictorHeteroskedasticity and diagnosticsThe multivariate probability distribution functionThe Durbin Watson testStatistical inferenceThe probability function - the discrete caseThe economic modelThe log-linear specificationOmission of a relevant variableThe LM-testThe t-distributionSimultaneous equation modelsGLS when AR(2)The adjusted coefficient of determination (Adjusted R2)Autocorrelation and diagnosticsTest for structural differencesSpecificationTesting a subset of coefficientsA model will intercept and slope dummy variableThe normal distributionConsequencesProperties of probabilitiesSkewness and kurtosisModel MeasuresGraphical methodsThe multiple regression model
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